The Index (MCI) provides a unique perspective on the state of the economy, financial markets and the political debate as they are perceived by media coverage of top domestic and international sources.
Media Derived Indicators
Motivated by fundamental economic theory, we devised several investment themes, used to forecast returns. Our indicators are adjusted daily to ensure precision and are based on media information extracted through proprietary systems from thousands of sources. The four key media‐based indicators are: intensity, sentiment, disagreement, and linkages.
Intensity measures the unexpected media coverage of a particular asset. Our research shows that stocks with recent abnormal media attention are relatively overpriced regardless of the direction of news.
Sentiment assesses coverage tone of media coverage. Our research shows that sentiment indicators which are carefully adjusted for both investor and source type biases are useful for return prediction.
Disagreement considers the dispersion of opinions across media sources for a particular asset. Our research shows that stocks with a high degree of sentiment dispersion are relatively overpriced.
Our connectivity measures are derived from media data using algorithmic approach to identify hidden links between firms. Our research shows that linkages are useful in predicting return and risk dynamics.
Earnings Prediction Technology
We utilize panels of sources to extract information correlated with consumption activity and estimate revenue streams of retailers to predict equity returns around their quarterly announcements. The data analyzed is collected from numerous sources and categorized per firm, over a time period and across geographies.